Artikel
A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics
We propose a pretest, bootstrap Kolmogorov-Smirnov test, to differentiate between weak and nearly-weak asymptotics. This is based on bootstrapping Wald Continuous Updating Estimator (CUE) based test. Since Wald CUE test has different limits under weak and nearly-weak cases this can be used in a pretest. We also conduct some simulations and show that some of the asset pricing models conform to nearly-weak asymptotics.
- Sprache
-
Englisch
- Erschienen in
-
Journal: International Econometric Review (IER) ; ISSN: 1308-8815 ; Volume: 3 ; Year: 2011 ; Issue: 2 ; Pages: 13-21 ; Ankara: Econometric Research Association (ERA)
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Single Equation Models; Single Variables: General
Multiple or Simultaneous Equation Models; Multiple Variables: General
- Thema
-
Bootstrap
Kolmogorov-Smirnov Test
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Caner, Mehmet
- Ereignis
-
Veröffentlichung
- (wer)
-
Econometric Research Association (ERA)
- (wo)
-
Ankara
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Caner, Mehmet
- Econometric Research Association (ERA)
Entstanden
- 2011
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